Non stationary multifractality in stock returns

Raffaello Morales, T. Di Matteo and Tomaso Aste

Papers from arXiv.org

Abstract: We perform an extensive empirical analysis of scaling properties of equity returns, suggesting that financial data show time varying multifractal properties. This is obtained by comparing empirical observations of the weighted generalised Hurst exponent (wGHE) with time series simulated via Multifractal Random Walk (MRW) by Bacry \textit{et al.} [\textit{E.Bacry, J.Delour and J.Muzy, Phys.Rev.E \,{\bf 64} 026103, 2001}]. While dynamical wGHE computed on synthetic MRW series is consistent with a scenario where multifractality is constant over time, fluctuations in the dynamical wGHE observed in empirical data are not in agreement with a MRW with constant intermittency parameter. We test these hypotheses of constant multifractality considering different specifications of MRW model with fatter tails: in all cases considered, although the thickness of the tails accounts for most of anomalous fluctuations of multifractality, still cannot fully explain the observed fluctuations.

Date: 2012-12, Revised 2013-05
New Economics Papers: this item is included in nep-ecm and nep-fmk
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Published in Physica A, 392, 6470-6483, 2013

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1212.3195

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